| Close | |
|---|---|
| Annualized Return | 0.0482 |
| Annualized Std Dev | 0.1949 |
| Annualized Sharpe (Rf=0%) | 0.2474 |
| Close | |
|---|---|
| Observations | 5052.0000 |
| NAs | 1.0000 |
| Minimum | -0.1160 |
| Quartile 1 | -0.0045 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1162 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.0987 |
| Kurtosis | 11.5585 |
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0135 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.5555 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0300 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0219 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-05-07 | -0.5555 | 1403 | 355 | 1048 |
| 2001-02-13 | 2002-10-09 | 2007-05-03 | -0.4277 | 1558 | 412 | 1146 |
| 2020-02-20 | 2020-03-23 | 2020-08-04 | -0.3144 | 116 | 23 | 93 |
| 2018-09-21 | 2018-12-24 | 2019-04-26 | -0.2014 | 149 | 65 | 84 |
| 2015-07-21 | 2015-08-25 | 2016-07-12 | -0.1313 | 247 | 26 | 221 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | 0.1 | 0.6 | 1.6 | 0.6 | 0.6 | -1 | 0 | 0.4 | 2.3 | 0.4 | -1 | 4.7 |
| 2002 | -0.6 | 2 | -0.4 | 0.7 | 0.6 | -1.3 | -2.7 | -0.8 | 4 | 1.6 | -0.8 | -0.5 | 1.5 |
| 2003 | 1.4 | 0.7 | 0.5 | -0.2 | 1.3 | 0.7 | -0.8 | 0.9 | 2 | 0.5 | 0.9 | 0.3 | 8.4 |
| 2004 | -0.5 | 0.8 | 0.3 | -1.1 | -0.6 | -0.9 | -0.3 | 0.2 | 1.8 | 0.2 | 1.5 | -0.3 | 1 |
| 2005 | 0.7 | 0.4 | -0.8 | 0.9 | 0.7 | -0.1 | 0 | 0.9 | 0 | -0.8 | 0.5 | -0.7 | 1.6 |
| 2006 | -0.2 | 0.7 | 0.4 | 0.2 | 1 | -0.2 | -0.4 | 0.2 | 0 | -0.5 | -0.3 | -0.4 | 0.5 |
| 2007 | 0.4 | -0.3 | -0.1 | 0.3 | 0.4 | -0.7 | 0.7 | 0.8 | 1.3 | -2.5 | 0.9 | -0.5 | 0.7 |
| 2008 | -0.4 | -2.5 | 3.7 | 1.7 | -0.1 | 0.5 | -0.4 | -1.3 | 3 | 1.3 | -8.1 | 1 | -2.2 |
| 2009 | -2.1 | -2.5 | 1.9 | 0.6 | 1.5 | 0.4 | 0.1 | -2.3 | -2.3 | -3 | 1.1 | -0.9 | -7.4 |
| 2010 | 1.3 | 0.8 | 0.6 | -1.6 | -1.4 | -0.5 | -0.1 | 2.8 | 0.5 | 0 | 2.1 | 0.1 | 4.7 |
| 2011 | 1.7 | -1.6 | 0.3 | 0.3 | -2.1 | 1.4 | -0.2 | -0.9 | -2.2 | -2.6 | -0.1 | -0.5 | -6.5 |
| 2012 | 0.7 | 0.6 | 0.3 | 0.6 | -2.3 | 2.5 | -0.2 | 0.5 | 0.3 | 1 | -0.1 | 1.7 | 5.5 |
| 2013 | 1 | 0.3 | -0.2 | -0.7 | -1.5 | 0.7 | 1 | -0.3 | 0.8 | 0.2 | 0 | 0.4 | 1.7 |
| 2014 | -0.7 | 0.3 | 0.6 | -0.1 | 0.2 | 0.8 | -0.4 | 0.2 | -1.3 | 1.1 | -0.7 | -1 | -1.2 |
| 2015 | -1.2 | -0.4 | -0.4 | 1 | 0.2 | 0.8 | -0.3 | -3 | 0.3 | -0.7 | 1 | -1 | -3.7 |
| 2016 | 0 | 2.6 | 0.8 | -0.4 | 0.1 | 0.2 | 0 | 0 | 0.8 | -0.6 | -0.2 | -0.4 | 2.7 |
| 2017 | 0.2 | 1.4 | -0.3 | 0.3 | 0.6 | 0.1 | 0.3 | 0.1 | 0.3 | 0.3 | -0.1 | -0.4 | 2.9 |
| 2018 | 0 | -1.4 | 1.5 | 0.2 | 1.1 | 0 | 0.2 | -0.1 | 0.5 | 0.9 | 0.8 | 1 | 4.7 |
| 2019 | -0.1 | 0.7 | 1.2 | -0.5 | -1.5 | 0.9 | -0.8 | -0.1 | -1.2 | 0.9 | -0.3 | 0.2 | -0.6 |
| 2020 | -1.7 | -0.3 | -4.3 | -2.5 | 0.3 | 0.8 | 1.2 | 1.1 | 0.7 | -1.3 | 1.2 | 0.5 | -4.6 |
| 2021 | 1.5 | 2.5 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-02-12 68.9 SPY 133. 0.0115 -0.018 0.0083 -0.0477 -0.0385 NA NA <NA> NA NA NA
2 2001-02-13 68.7 SPY 132. -0.0082 -0.0231 0.002 -0.0319 -0.0519 NA NA <NA> NA NA NA
3 2001-02-14 68.4 SPY 132. -0.0015 -0.0195 -0.0059 -0.0258 -0.064 NA NA <NA> NA NA NA
4 2001-02-15 68.7 SPY 133. 0.0097 0.0017 -0.0008 -0.0416 -0.0407 NA NA <NA> NA NA NA
5 2001-02-16 67.8 SPY 130. -0.022 -0.0109 -0.0325 -0.0657 -0.057 NA NA <NA> NA NA NA
6 2001-02-20 66.5 SPY 128. -0.0154 -0.0372 -0.042 -0.0654 -0.0512 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>